This is a problem of naming.
What Safari is offering to block is new Safari windows (or tabs) which are spawned by web pages. This used to be a huge scourge on the web, especially with pop-up ads.
Then what happened is that people who design websites figured out that they could no longer use pop-up windows, because people hated them, and instead of saying “Well, since people hated that, we shouldn’t do anything like that” they said “How can we achieve effectively the same thing in a way that will work-around the fact that most browsers block pop-up windows/tabs?”
It’s not a separate page/window/tab, it is in the same page/window/tab that you are viewing, so you can’t use ⌘W to close it, and most of them aren’t coded well enough to respond to the ESC key (which is entirely possible but apparently none of them care about the user experience enough to add it in).
So now (almost) every dang website out there uses them to try to get you to sign up for their newsletter or whatever the crap is that they want to get you to do, when all you want to do is read the page that you are on.
In Safari, the best response to seeing one of these is to press ⌘ ⇧ R (command+shift+R) to enter Safari’s “Reader” mode, which will get rid of all that crap and nonsense.